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On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model

Published online by Cambridge University Press:  29 August 2014

J.M. Reinhard  and
M. Snoussi
J.M. Reinhard*
Affiliation:
Université Libre de Bruxelles
M. Snoussi*
Affiliation:
Université Libre de Bruxelles Secura Belgian Re, Belgique
*
Secura s.a., Montoyer, 12, B-1000 Bruxelles, Belgique
Université Libre de Bruxelles, Campus de la plaine CP 210, B-1050 Bruxelles, Belgique
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Abstract

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In this paper we extend the work of Reinhard and Snoussi (2000) by developing a recursive system for finding the distribution of the surplus prior to ruin in a discrete semi-Markov risk model.

Keywords

Probability of ruinsurplus prior to ruinrecursive calculationstable algorithm

Information

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 31 , Issue 2 , November 2001 , pp. 255 - 273
Copyright
Copyright © International Actuarial Association 2001

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